Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg High Yield Bond ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.2%, drawdown -46.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -0.5%, Sharpe 0.29, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.7%, MDD -13.4%, exposure 63%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 0.2%, MDD -0.5%, exposure 0%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=40 |
0.2% | -0.5% | 0.29 | 0.48 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=51, exitN=101 |
0.7% | -13.4% | 0.15 | 0.05 | 1.1x | 24 | 63% |
| ROC 모멘텀 n=26, threshold=0.1 |
0.3% | -8.2% | 0.10 | 0.03 | 1.1x | 12 | 1% |
| EMA 크로스오버 fast=34, slow=134 |
0.2% | -15.9% | 0.07 | 0.01 | 1.0x | 28 | 53% |
| SMA 크로스오버 fast=47, slow=201 |
-0.1% | -16.2% | 0.01 | -0.00 | 1.0x | 22 | 54% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
-0.0% | -8.2% | 0.00 | -0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=3.5 |
-0.0% | -0.9% | -0.19 | -0.05 | 1.0x | 2 | 0% |
| Supertrend period=8, mult=4.7 |
-3.1% | -47.9% | -0.47 | -0.06 | 0.6x | 82 | 43% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.4% | -64.5% | -0.79 | -0.08 | 0.4x | 166 | 54% |
| MACD fast=16, slow=26, signal=23 |
-6.2% | -71.1% | -0.87 | -0.09 | 0.3x | 242 | 49% |
| Buy and hold | -2.2% | -46.3% | -0.13 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)